BIROn - Birkbeck Institutional Research Online

    Sovereign credit ratings and financial markets linkages: application to European data

    Afonso, A. and Furceri, D. and Gomes, Pedro (2012) Sovereign credit ratings and financial markets linkages: application to European data. Journal of International Money and Finance 31 (3), pp. 606-638. ISSN 0261-5606.

    [img]
    Preview
    Text
    Pub_JIMF_RatingsEuro.pdf - Author's Accepted Manuscript

    Download (1MB) | Preview

    Abstract

    We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1-2 months horizon but there is bi-directional causality between ratings and spreads within 1-2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): credit ratings, sovereign yields, rating agencies
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Research Centre: Applied Macroeconomics, Birkbeck Centre for
    Depositing User: Pedro Gomes
    Date Deposited: 12 Oct 2017 09:09
    Last Modified: 26 Jul 2019 17:44
    URI: http://eprints.bbk.ac.uk/id/eprint/20034

    Statistics

    Downloads
    Activity Overview
    344Downloads
    73Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item